Wow. Interesting thread of comments above. Chad gave me enough to ponder that I figured I'd write in an answer instead of permutating the massively commented answer past all recognition.
OK, so, redacting towards consensus:
Depends on job -
In jobs with longer term, big projects where work is assigned informally, and a majority of tasks don't have to be done on a fixed day/time then coming in an helping out (and in return, not taking any time off) is probably appreciated. No one minds an extra guy coming by to help when the help is helpful and doesn't take away from anyone else's compensation.
In cases where the number of people needed for a given shift is finite, where work and profits are shared more granularly, or where specific tasks are assigned on a day by day basis, then it's quite likely that the team or manager had to make other plans to cover for you, and changing the game plan on no notice will not be appreciated. In those cases - check in first. In a crisis, many bosses will be THRILLED that you are free, and you'll be a hero. While you're calling in is a good time to say "oh, and is this sick time or absense?" since company policy is likely to vary.
How to notify
This has as much to do with the nature of your work as whether or not to just head in to work. If you have a small team with intimate contact with the boss in an informal setting, you may be able to stroll on in. If you know you have a full lineup of work ahead of you (as in many salaried positions), you may be able to drop your boss a note that you'll be working on your backlog and just start on in.
But in disconnected teams, make sure your boss knows. It is hard to predict just how much the manager will care, but people always prefer to have more knowledge. This is especially true in cases of work at home, remote work, or work with a boss who is so overscheduled that email is the only way to find him.
Also - be aware of how your boss uses communication tools - IM, Voicemail, email, a sticky note, in person conversation - it will all work, but pick the medium that is most likely to get to your boss in a timely manner. This one is a "high speed, low content" sort of message.